| dc.creator |
Fritsche, Ulrich |
|
| dc.creator |
Kuzin, Vladimir N. |
|
| dc.date |
2004 |
|
| dc.date.accessioned |
2013-10-16T06:58:34Z |
|
| dc.date.available |
2013-10-16T06:58:34Z |
|
| dc.date.issued |
2013-10-16 |
|
| dc.identifier |
http://hdl.handle.net/10419/18170 |
|
| dc.identifier |
ppn:39096123X |
|
| dc.identifier.uri |
http://koha.mediu.edu.my:8181/xmlui/handle/10419/18170 |
|
| dc.description |
We analyse the decline in output volatility in Germany. A lower level of variance in an autoregressive model of output growth can be either due to a change in the structure of the economy (a change in the propagation mechanism) or a reduced error term variance (reduced impulses). In Germany the decline output volatility is due to a decline in the persistence of the growth process. This is in contrast to the U.S. results. The structural change is more of a gradual nature than a sudden break. The evolution of Germany's short-term real interest rate volatility coincides with the change of the autoregressive parameter. A change in the conduct of monetary policy (the establishment of another monetary policy regime) could be part of an explanation for the change in propagation. Stochastic simulations with a New Keynesian DSGE model support our hypothesis. |
|
| dc.language |
eng |
|
| dc.publisher |
Deutsches Institut für Wirtschaftsforschung (DIW) Berlin |
|
| dc.relation |
DIW-Diskussionspapiere 433 |
|
| dc.rights |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
|
| dc.subject |
E32 |
|
| dc.subject |
C51 |
|
| dc.subject |
C22 |
|
| dc.subject |
ddc:330 |
|
| dc.subject |
Output |
|
| dc.subject |
Volatility |
|
| dc.subject |
Monetary Policy |
|
| dc.subject |
Markov Switching Model |
|
| dc.subject |
State Space Model |
|
| dc.subject |
Spectral Analysis |
|
| dc.subject |
DSGE model |
|
| dc.subject |
Konjunktur |
|
| dc.subject |
Volatilität |
|
| dc.subject |
Wirtschaftswachstum |
|
| dc.subject |
Hysteresis |
|
| dc.subject |
Strukturwandel |
|
| dc.subject |
Schätzung |
|
| dc.subject |
Deutschland |
|
| dc.title |
Declining Output Volatility in Germany : Impulses, Propagation, and the Role of Monetary Policy |
|
| dc.type |
doc-type:workingPaper |
|
| dc.coverage |
1970-1990 |
|